So, lets explain how this works: The wizard creates a file named CDC.cpp which only includes CDC.cpp. We do this because we need to include code (implementation) from arduino's sources.
And this is the easiest way. I guess we should rename the project files to something more obvious.
The problem for you is that the include search paths in the project aren't correct.
Please inspect them and then verify that in one of them there is a file CDC.cpp.
Probably there are multiple such files, you'll have to select the correct one for your device.
Repeat with the other errors.
Probably switching to my wizard might help, but it isn't really tested on windows.
I'll see if I can make it work with the latest arduino.